匯率時間數列線性檢測的研究

Linearity Test of Exchange Rate Time Series

10.29916/JMPP.201012.0001

謝志忠(Chieh-Chung Hsieh)

匯率 ； 線性 ； exchange rate ； linearity

管理實務與理論研究

4卷4期（2010 / 12 / 01）

1 - 7

繁體中文

在本項研究中，我們評估14個國家月別匯率時間數列資料的線性或非線性。資料期間包括1994-2010年。我們採用哈威等人在2008年提出的線性測試方法，此一方法可以在整合階次不確定的情形下，運作良好。經過實證研究，確定新加波和日本的匯率時間序列是非線性。

In this study, we evaluated the linearity or nonlinearity of 14 countries exchange rate time-series data. Sample data is spanned from 1994 to 2010. We use the Harvey et al. (2008) linearity test method, this method can work well under integrated order that is uncertain. We determine Singapore and Japan exchange rate time series are nonlinear time series, and the other countries' exchange rate time series are linear.

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